Question: A CMO has 3 tranches, A, B, and Z (an accrual tranche), as well as a residual class. If the prepayment on the pool of

A CMO has 3 tranches, A, B, and Z (an accrual tranche), as well as a residual class. If the prepayment on the pool of mortgages that supports the CMO decreases from CPR 10% to CPR 5% when doing projected cashflows, what would happen to the expected maturity of the Z class?

Decrease

Can't be determined

Stay the same

Increase

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